依赖性不确定性下的上协整性和风险聚合

Corrado De Vecchi, Max Nendel, Jan Streicher
{"title":"依赖性不确定性下的上协整性和风险聚合","authors":"Corrado De Vecchi, Max Nendel, Jan Streicher","doi":"arxiv-2406.19242","DOIUrl":null,"url":null,"abstract":"In this paper, we study dependence uncertainty and the resulting effects on\ntail risk measures, which play a fundamental role in modern risk management. We\nintroduce the notion of a regular dependence measure, defined on multi-marginal\ncouplings, as a generalization of well-known correlation statistics such as the\nPearson correlation. The first main result states that even an arbitrarily\nsmall positive dependence between losses can result in perfectly correlated\ntails beyond a certain threshold and seemingly complete independence before\nthis threshold. In a second step, we focus on the aggregation of individual\nrisks with known marginal distributions by means of arbitrary nondecreasing\nleft-continuous aggregation functions. In this context, we show that under an\narbitrarily small positive dependence, the tail risk of the aggregate loss\nmight coincide with the one of perfectly correlated losses. A similar result is\nderived for expectiles under mild conditions. In a last step, we discuss our\nresults in the context of credit risk, analyzing the potential effects on the\nvalue at risk for weighted sums of Bernoulli distributed losses.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"9 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty\",\"authors\":\"Corrado De Vecchi, Max Nendel, Jan Streicher\",\"doi\":\"arxiv-2406.19242\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we study dependence uncertainty and the resulting effects on\\ntail risk measures, which play a fundamental role in modern risk management. We\\nintroduce the notion of a regular dependence measure, defined on multi-marginal\\ncouplings, as a generalization of well-known correlation statistics such as the\\nPearson correlation. The first main result states that even an arbitrarily\\nsmall positive dependence between losses can result in perfectly correlated\\ntails beyond a certain threshold and seemingly complete independence before\\nthis threshold. In a second step, we focus on the aggregation of individual\\nrisks with known marginal distributions by means of arbitrary nondecreasing\\nleft-continuous aggregation functions. In this context, we show that under an\\narbitrarily small positive dependence, the tail risk of the aggregate loss\\nmight coincide with the one of perfectly correlated losses. A similar result is\\nderived for expectiles under mild conditions. In a last step, we discuss our\\nresults in the context of credit risk, analyzing the potential effects on the\\nvalue at risk for weighted sums of Bernoulli distributed losses.\",\"PeriodicalId\":501128,\"journal\":{\"name\":\"arXiv - QuantFin - Risk Management\",\"volume\":\"9 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-06-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2406.19242\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2406.19242","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

本文研究了依赖性不确定性及其对尾风险度量的影响,尾风险度量在现代风险管理中发挥着重要作用。我们引入了定义在多边际耦合上的正则依赖性度量的概念,将其作为著名的相关统计量(如皮尔森相关性)的一般化。第一个主要结果表明,即使损失之间存在任意小的正相关性,也会导致超过一定阈值后的完全相关性,而在此阈值之前则看似完全独立。第二步,我们将重点放在通过任意非递减左连续聚合函数聚合已知边际分布的单个风险上。在这种情况下,我们证明了在任意小的正相关性下,总体损失的尾部风险可能与完全相关损失的尾部风险相吻合。在温和的条件下,也可以得出类似的结果。最后,我们以信用风险为背景讨论了我们的结果,分析了伯努利分布式损失加权和对风险值的潜在影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal couplings, as a generalization of well-known correlation statistics such as the Pearson correlation. The first main result states that even an arbitrarily small positive dependence between losses can result in perfectly correlated tails beyond a certain threshold and seemingly complete independence before this threshold. In a second step, we focus on the aggregation of individual risks with known marginal distributions by means of arbitrary nondecreasing left-continuous aggregation functions. In this context, we show that under an arbitrarily small positive dependence, the tail risk of the aggregate loss might coincide with the one of perfectly correlated losses. A similar result is derived for expectiles under mild conditions. In a last step, we discuss our results in the context of credit risk, analyzing the potential effects on the value at risk for weighted sums of Bernoulli distributed losses.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信